EDIT: I didn't notice you were referring to running Steam in Wine. But just to point it out, Steam is now available for Linux natively(without Wine) and TF2 is Linux supported as well.

The Steam folder is located in:

/home/USERNAME/Steam (also called ~/Steam)

Keep in mind that if you want to move the Steam folder you must copy it to a location with an EXT3/4 partition format(Ubuntu won't launch Steam from a FAT or NTFS partition without modification to certain system files). You then must Right-Click on the Steam folder and click "Make Link". Copy the link to the Home Folder and then rename it to "Steam". The Steam folder should now be detected in it's new location.

uhmm I'm kind of new to ubuntu, what does "~/." mean?? or could you give precise instructions for finding it?
–
ScipioJan 4 '13 at 20:03

@user115899 Folders with . as the beginning character are hidden folders and ~ means your home folder. ~/.PlayOnLinux/wineprefix/Steam means the folder PlayOnLinux is hidden. Use Ctrl + H to toggle viewing of hidden files and folders in the file explorer.
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VedValsJan 4 '13 at 20:23